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Armstrong, Margaret's
Scholarly Papers
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Vincent, Arnaud École Nationale Supérieure des Mines de Paris Armstrong, Margaret Cerna Mines-Paristech
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02 Oct 10
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Last Revised:
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13 Oct 10
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Twitter, breakpoints, Forex, genetic algorithms, high frequency trading
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Galli, Alain G. Cerna Mines-Paristech Armstrong, Margaret Cerna Mines-Paristech Totouom, Daniel BNP Paribas
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Key words: Copulas, Archimedean, Tail dependence, Pearson process, Affine processes, CIR process, multivariate Laplace transform
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Armstrong, Margaret Cerna Mines-Paristech El Hajj Moussa, Charles Mines-Paristech Adnot, Jérome affiliation not provided to SSRN Galli, Alain G. Cerna Mines-Paristech Rivière, Philippe affiliation not provided to SSRN
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Galli, Alain G. Cerna Mines-Paristech Codinach, Albert École Nationale Supérieure des Mines de Paris - Centre d'Économie Industrielle (CERNA) Armstrong, Margaret Cerna Mines-Paristech
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flexible operating strategy, trivariate model, gas, electricity, CO2, stochastic volatility, futures contracts, day ahead, two step approximation, technical optimisation, financial optimisation, technical constraints, efficiency, ramp-up
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